
Accession Number : AD0767966
Title : Equivalent Gaussian Measures Whose RN Derivative is the Exponential of a Diagonal Form.
Descriptive Note : Technical rept.,
Corporate Author : NORTH CAROLINA UNIV CHAPEL HILL DEPT OF STATISTICS
Personal Author(s) : Rajput,Balram S.
Report Date : MAR 1973
Pagination or Media Count : 30
Abstract : A simple necessary and sufficient condition, on a traceclass kernel K, is given in order for the existence of a measurable (relative to the complete product sigmaalgebra) Gaussian process with covariance K. The integral of the exponential of a certain function of a Gaussian process with respect to the corresponding probability measure is calculated, explicitely. Using these results, sufficient conditions are given on the means and the covariances (relative to two equivalent Gaussian measures P and (P sub lambda)) of a process X so that the RadonNikodym (RN) derivative d(P sub lambda)/dP is the exponential of the diagonal form in X. Analogues of the last two results in the set up of Hilbert space are also proved. Using one of these results, a simple proof of the integrability of the exponential of a certain multiple of the square of any continuous seminorm relative to Gaussian measure on separable nuclear space is given. (Author)
Descriptors : (*STOCHASTIC PROCESSES, MEASURE THEORY), EXPONENTIAL FUNCTIONS, HILBERT SPACE, SET THEORY, THEOREMS
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE